I usually create conditional rules with shipping to assign different costs for:
I have now to assign different shipping costs according to Europe / Not Europe. A solution would be to select all countries in Europe, but I was wondering if there is a faster way
thanks
For the sanity of your users just do it the way everybody else does!
Have a country pull down with a list of all supported countries in it. Defaulting to you "home" nation.
If you are sending stuff there are a lot more considerations than just shipping costs, you may need to fill in specific tax forms for some countries and depending on what your site is selling you may need special processing for some countries (try sending coffee to Thailand -- you need to obtain permission from thier ministry of agriculture!).